Corrections to the Prices of Derivatives due to Market Incompleteness
We compute the first-order corrections to marginal utility-based prices with respect to a 'small' number of random endowments in the framework of three incomplete financial models. They are a stochastic volatility model, a basis risk and market portfolio model and a credit-risk model with jumps and stochastic recovery rate.
Volume (Year): 18 (2011)
Issue (Month): 2 ()
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